5,646 reputation
21343
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 8 months
seen 8 hours ago

Strats in a commodity trading firm in Hong Kong.


Jul
18
comment What commercial financial libraries are available to outsource implementation risk?
This looks like a software, I am looking for library I can use within mine.
Jul
17
comment Does a coherent risk measure satisfy the four axioms of von Neumann–Morgenstern?
Your question would benefit from the inclusion of these axioms. Some might argue that links would be enough, but I always fancy self-fulfilling questions.
Jul
15
revised Multilayer Perceptron (Neural Network) for Time Series Prediction
removed courtesies, retagged
Jul
15
comment Risk-Parity Portfolio Optimization using Extreme Optimization in C#
Are you sure of your constraint? aren't you willing to do $x_1+x_2=1$?
Jul
15
revised Risk-Parity Portfolio Optimization using Extreme Optimization in C#
retagged
Jul
15
comment What commercial financial libraries are available to outsource implementation risk?
So how does it work, their software is open-source but you pay for the maintenance and support?
Jul
14
comment What commercial financial libraries are available to outsource implementation risk?
I edited the question to try to make it clearer I am looking for commercial libraries.
Jul
14
revised What commercial financial libraries are available to outsource implementation risk?
added 45 characters in body; added 11 characters in body
Jul
14
comment What commercial financial libraries are available to outsource implementation risk?
I believe both of them are open-source and hence provide no guarantee for support or maintenance.
Jul
14
asked What commercial financial libraries are available to outsource implementation risk?
Jul
12
comment Do Bond Put Dates always fall on Coupon Dates (for non-zero coupon bonds). Calculation rules for Coupon Dates
We tend to remove courtesies as they add noise to the questions.
Jul
11
comment Do Bond Put Dates always fall on Coupon Dates (for non-zero coupon bonds). Calculation rules for Coupon Dates
Because a puttable bond by definition has an embedded put, and you are asking question about a puttable bond's structure.
Jul
9
accepted Why is the Drawdown measure not used for portfolio optimization?
Jul
9
comment Why is the Drawdown measure not used for portfolio optimization?
Good answer. I disagree with your first point though, non-sophisticated investors do not care about variance, they care about drawdowns: "how much can I use if I give you my money". I guess it's a matter of point of view. My initial first answer was, any strategy with any kind of asset has a max drawdown of 100% anyway, so it's better to care about variance or, better, expected shortfall of fat-tailed distributions.
Jul
9
revised market-data wiki excerpt
added 167 characters in body
Jul
9
revised
added 185 characters in body
Jul
9
suggested suggested edit on
Jul
9
wiki
Jul
9
suggested suggested edit on market-data tag wiki excerpt
Jul
9
wiki created market-data excerpt